In January 2007 Dietmar Peetz was searching for a model to forecast the possible repercussions of emerging US subprime mortgage losses in the wider markets.
“We thought of the markets as like a mechanical clock, and we knew you cannot remove one part without the clock stopping,” he recalls.
Peetz was a senior portfolio manager at Credit Suisse Asset Management but two years before had completed his PhD dissertation on hedge funds and market instability. When he went back to his books, he found
- Regulators to scrutinise CCP default auctions
- People moves: Bank of America names new Apac chiefs, Wilkinson leaves LGIM, Lloyds loses Coutte, and more
- VAR surges, revenues tank at French banks hurt by volatility
- Swaps data: SOFR volume and margin insights
- A rush on Libor fallbacks to head off holdouts